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• W3122656042 abstract "ABSTRACTThe study tests prominent equity market anomalies for six emerging markets - Brazil, China, India, Indonesia, South Korea and South Africa. We find that using the Fama French model (FFM) as performance benchmark the size anomaly is present in India, South Korea and Brazil, value anomaly in South Korea and South Africa, momentum in India and South Africa, mild reversals in Brazil, liquidity anomaly in South Korea and South Africa, profitability anomaly in Brazil and South Africa, accruals anomaly in South Africa and stock repurchases anomaly in India and South Africa. Stock issues anomaly does not pose a challenge to asset pricing for sample markets. The four factor liquidity augmented FFM is a better descriptor of asset pricing compared to CAPM and FFM only in the Indian context. The Fama French model seems to be an appropriate performance benchmark for other sample emerging markets. South Africa seems to be the most exciting destination for portfolio managers followed by Brazil, South Korea and India. The research is relevant for global portfolio managers who indulge in international diversification as well as for policy makers who are looking for long-term economic cooperation and greater financial integration among these markets.JEL: C51, C52, G12, G14, G15KEYWORDS: CAPM, Fama French Model, Emerging Markets, Market Anomalies, International Diversification(ProQuest: ... denotes formulae omitted.)INTRODUCTIONSchwert (2003) defines anomalies as empirical results that are incompatible with maintained theories of asset pricing behavior. The CAPM which has been the foundation of all asset pricing models indicates that the risk return relation is linear; the relevant risk is systematic in nature and measured by beta. Empirical work followed which observed that the CAPM beta fails to explain returns on various characteristic sorted portfolios. Major anomalies of the CAPM are firm size (Banz, 1981), book equity to market equity (Stattman, 1980), price earnings (Basu, 1983), firm leverage (Bhandari, 1988), reversal (De Bondt &Thaler, 1985, 1987) and Momentum returns (Jegadeesh & Titman, 1993).Fama and French (1993) developed a three factor asset pricing model to explain the pricing anomalies not captured by CAPM. Their model uses two more risk factors viz. size and value in addition to market beta, which has proven to be very effective in explaining major anomalies of the CAPM. However, recent evidence confirms that even the FF model is not without limitations. For instance, the model fails to explain returns on portfolios sorted on momentum (Fama & French, 1996), liquidity (Hwang and Lu, 2007), accruals (Sloan, 1996), net stock issues (Loughran &Ritter, 1995, Ikenberry, Lakonishiok & Vermaelen, 1995) and profitability (Fama & French, 2008). Stock market anomalies that have gained attention in the literature over the past few years are size, value, prior return patterns, liquidity, accruals, profitability and net stock issues.A fertile literature on these anomalies exists for the developed capital markets where many of these anomalies have been proved. To investigate whether these anomalies are universal and pervasive a similar analysis for emerging markets should be conducted. Noeth and Sengupta (2012) define emerging markets as countries which experience significant growth in GDP and infrastructure and have adopted structural economic reforms to catch up with the developed world. Jim O'Neill, a Goldman Sacs executive coined the term 'BRIC' to refer to four fast growing emerging markets viz. Brazil (B), Russia(R), India (I) and China(C) where investors could put their money for high returns and proclaimed that these emerging markets would help drive global markets and world economic growth. Recently the investment banking industry has included Indonesia (I), South Korea (K) and South Africa(S) in the emerging markets group(see Global Development Horizon, World Bank, 2011 (Indonesia and South Korea were added in 2010 and South Africa was added in 2011). …" @default.
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• W3122656042 date "2014-01-01" @default.
• W3122656042 modified "2023-10-16" @default.
• W3122656042 title "Tests Of Equity Market Anomalies For Select Emerging Markets" @default.
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